To get a folder to appear I went into a game and just saved a shortlist. this creates a folder in the correct place for you to place downloaded lists into.
I have no screenshots and dont know your level of play but I'll give it a go of trying to explain what to do.
when looking at the shortlists in a game on the right side you will see a drop-down menu called 'shortlist'. when you click on this you get a number of options. you need to choose either 'save' or 'save-as' (if you want to personalise the name choose 'save-as'). Once you have saved a shortlist exit the game then navigate to the following folder:-
C:\Users\[your personal folder name]\Documents\Sports Interactive\Football Manager 2013 (change the C:\ to whichever drive you have FM13 saved to)
Once in this folder you will notice theres a new folder called 'shortlists'. This is where you save your .slf files.